Measuring systemic liquidity risk and the cost of liquidity insurance / Tiago Severo.
I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks were exposed to this liquidity risk factor. Results show that the level of bank returns...
[Washington, D.C.] :
International Monetary Fund,
|Series:||IMF working paper ;